Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives (Q2866394)
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scientific article; zbMATH DE number 6238233
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives |
scientific article; zbMATH DE number 6238233 |
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Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives (English)
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13 December 2013
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credit derivatives
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tail analysis
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contagion
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parameter estimation techniques
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non-Gaussian distributions
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pattern recognition
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copulas
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